Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0041 |
| Annualized Std Dev | 0.2303 |
| Annualized Sharpe (Rf=0%) | 0.0179 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3714.0000 |
| NAs | 1.0000 |
| Minimum | -0.1149 |
| Quartile 1 | -0.0056 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1417 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.4887 |
| Kurtosis | 11.7680 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.6427 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0366 |
| Modified VaR (95%) | -0.0222 |
| Modified ES (95%) | -0.0424 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.6427 | 3369 | 339 | NA |
| 2007-07-13 | 2007-08-16 | 2007-10-01 | -0.1352 | 56 | 25 | 31 |
| 2007-02-27 | 2007-03-05 | 2007-04-03 | -0.0780 | 26 | 5 | 21 |
| 2006-07-05 | 2006-07-18 | 2006-07-28 | -0.0637 | 18 | 10 | 8 |
| 2007-06-05 | 2007-06-12 | 2007-07-02 | -0.0425 | 20 | 6 | 14 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 3.6 | -0.1 | 1.2 | -0.3 | -0.3 | -0.4 | -0.3 | 3.4 |
| 2007 | 0.7 | -1.4 | 0.1 | 0.3 | 0.7 | 0.4 | 0.3 | 1.9 | 1.4 | -2.7 | 0.7 | -1.4 | 0.9 |
| 2008 | 1.8 | -2.6 | 2.5 | 0.4 | 0.2 | -1.6 | -0.9 | -0.4 | 0 | -1.2 | -7 | 1.1 | -7.7 |
| 2009 | -0.1 | -0.2 | 2.1 | 1.1 | 1.8 | 0.8 | 0.7 | -2.9 | -2.2 | -3.5 | 1.8 | -0.5 | -1.4 |
| 2010 | 1.8 | 0 | 1.3 | -1.1 | -0.2 | 1.7 | 0.1 | 3.2 | 1.2 | -0.3 | 2.9 | 0.7 | 12.1 |
| 2011 | 2.4 | -1.5 | 0.5 | 0.1 | -2.2 | 0.7 | -0.9 | -1.2 | -2.4 | -3.3 | -1.2 | 0.3 | -8.4 |
| 2012 | 1.6 | 0.7 | 1 | 0.5 | -2.1 | 3.4 | 0.2 | 0.9 | 0.9 | 0.9 | 0.1 | 1.3 | 9.6 |
| 2013 | 0.8 | -0.1 | -1.1 | -0.9 | -2.2 | 0.8 | 1 | -0.9 | 0.5 | -0.3 | 0.2 | 0.5 | -1.7 |
| 2014 | -1.5 | 0.4 | 0.4 | 0 | 0.2 | 0.7 | -0.7 | -0.1 | -1 | 1.4 | -0.3 | -0.7 | -1.4 |
| 2015 | -1.4 | 0.3 | 0.6 | 0.6 | -0.4 | 0.5 | 0.3 | -2.8 | 0.3 | 0 | 1 | -1.2 | -2.1 |
| 2016 | -0.1 | 2.5 | -0.9 | -0.5 | -0.1 | 0.2 | -0.7 | 0.6 | 0.8 | -0.2 | 0.1 | 0.3 | 1.9 |
| 2017 | 0.3 | 1 | -0.2 | 0.3 | 0.6 | 0.2 | 0.6 | 0.2 | 0.6 | 0.1 | -0.3 | -0.1 | 3.3 |
| 2018 | 0.2 | -1.2 | 0.7 | -0.3 | 0.6 | 0.6 | -0.7 | -0.8 | 0.2 | 1 | -0.3 | 0.2 | 0.2 |
| 2019 | 0.1 | 0.4 | 1 | -0.7 | -0.8 | 0.5 | -0.6 | 0.3 | -0.8 | 0.9 | -0.8 | 0.5 | 0 |
| 2020 | -1.7 | -0.5 | -3.8 | -2.3 | 2 | 0.2 | -2.1 | -0.2 | 0 | -0.4 | 1.9 | -0.5 | -7.4 |
| 2021 | 1.2 | 1.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-16 50.0 SPY 125. -0.0073 -0.00120 -0.013 -0.0415 0.0313 0.232 -0.0071 GLD 57.7 0.0063 -0.0458
2 2006-06-19 49.7 SPY 124. -0.0079 -0.0026 -0.0201 -0.0517 0.019 0.218 -0.0176 GLD 56.4 -0.0229 -0.0611
3 2006-06-20 50.2 SPY 124. 0.0034 0.0126 -0.0237 -0.0424 0.0222 0.241 -0.0057 GLD 57.3 0.0167 0.0247
4 2006-06-21 50.8 SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
5 2006-06-22 50.2 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
6 2006-06-23 50.5 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
